Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 3 | 2 |
| Score | -1.79 | -0.62 | -2.31 |
| Market Cap (Millions USD) | 6308.63 | 6302.09 | 6087.06 |
| Predicted Beta | 1.61 | 1.65 | 1.64 |
| Idiosyncratic Volatility | 2.83 | 4.09 | 4.42 |
Annualized return and volatility
| IJJ | |
|---|---|
| Annualized Return | 0.1010 |
| Annualized Std Dev | 0.2031 |
| Annualized Sharpe (Rf=0%) | 0.4972 |
Row
Daily Return Statistics
| IJJ | |
|---|---|
| Observations | 4966.0000 |
| NAs | 148.0000 |
| Minimum | -0.1141 |
| Quartile 1 | -0.0054 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1105 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0128 |
| Skewness | -0.1743 |
| Kurtosis | 8.1734 |
Downside Risk
| IJJ | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0090 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0138 |
| Downside Deviation (Rf=0%) | 0.0090 |
| Downside Deviation (0%) | 0.0090 |
| Maximum Drawdown | 0.5800 |
| Historical VaR (95%) | -0.0191 |
| Historical ES (95%) | -0.0303 |
| Modified VaR (95%) | -0.0191 |
| Modified ES (95%) | -0.0321 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-02-07 | -0.5800 | 945 | 455 | 490 |
| 2002-04-18 | 2002-10-09 | 2003-10-09 | -0.3272 | 382 | 124 | 258 |
| 2011-05-02 | 2011-10-03 | 2012-03-15 | -0.2755 | 223 | 109 | 114 |
| 2018-08-30 | 2018-12-24 | 2019-11-05 | -0.2285 | 303 | 82 | 221 |
| 2001-05-23 | 2001-09-21 | 2002-03-01 | -0.2132 | 195 | 83 | 112 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IJJ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | 0.0 | 0.1 | 0.0 | -0.3 | 1.0 | 0.0 | 0.8 |
| 2001 | 0.8 | -0.5 | 0.0 | 0.2 | 1.0 | 0.0 | 0.7 | 0.0 | -2.0 | 1.1 | 0.0 | 0.0 | 1.3 |
| 2002 | -0.1 | 1.7 | 0.2 | 0.4 | 0.0 | -1.9 | -2.4 | 0.0 | 1.7 | 1.5 | 0.0 | 0.0 | 1.0 |
| 2003 | 0.0 | 0.0 | 0.5 | 0.1 | 0.0 | 0.6 | -0.8 | 0.0 | 2.3 | 0.0 | 1.2 | 0.0 | 4.0 |
| 2004 | 0.0 | 1.6 | 0.8 | 0.0 | 0.4 | -1.5 | 0.0 | 0.6 | 1.5 | 0.2 | 1.1 | 0.0 | 4.8 |
| 2005 | 0.6 | 0.9 | -0.1 | 0.0 | 1.1 | 0.8 | 0.1 | 0.2 | 0.0 | 0.7 | 1.5 | 0.0 | 6.0 |
| 2006 | 0.4 | 1.5 | 0.0 | -0.5 | 1.2 | 0.0 | -0.5 | 0.3 | 0.0 | -1.0 | 0.0 | 0.0 | 1.4 |
| 2007 | 1.2 | -0.3 | 0.0 | 0.4 | 0.6 | 0.0 | 0.8 | 0.0 | 1.3 | -2.5 | 0.0 | 0.0 | 1.4 |
| 2008 | 2.2 | 0.0 | 2.9 | 1.8 | 0.0 | -0.2 | 0.0 | 0.0 | -1.0 | 0.0 | -11.4 | 0.0 | -6.3 |
| 2009 | 0.0 | 0.0 | 1.7 | -0.5 | 3.7 | 1.4 | 0.0 | -2.3 | -3.3 | 0.0 | 1.4 | 0.0 | 2.0 |
| 2010 | 1.4 | 1.6 | 1.1 | 0.0 | -2.8 | -0.8 | 0.0 | 3.3 | 0.3 | 0.0 | 2.1 | 0.0 | 6.3 |
| 2011 | 1.6 | -1.7 | 0.9 | 0.0 | -2.6 | 1.6 | -0.7 | -1.8 | 0.0 | -3.3 | -0.7 | 0.0 | -6.5 |
| 2012 | 2.1 | 0.8 | 0.0 | 0.4 | -3.0 | 0.0 | -0.9 | 0.0 | -0.4 | 2.3 | 0.0 | 0.0 | 1.2 |
| 2013 | 0.8 | -0.4 | -1.0 | -1.9 | 0.0 | 1.1 | 2.0 | 0.0 | 1.3 | 0.0 | 0.0 | 0.0 | 1.9 |
| 2014 | 0.0 | 0.0 | 0.7 | 0.1 | 0.0 | 0.6 | -0.1 | 0.0 | -1.3 | 0.0 | -1.0 | 0.0 | -1.0 |
| 2015 | 0.0 | 0.0 | -0.1 | 0.6 | 0.0 | 0.2 | 0.0 | -3.1 | -0.2 | 0.0 | 0.8 | 0.0 | -2.0 |
| 2016 | -0.4 | 2.0 | 0.2 | 0.0 | 0.4 | 0.4 | -0.6 | -0.2 | 0.0 | -1.0 | 0.0 | 0.0 | 0.7 |
| 2017 | -0.2 | 1.8 | 0.0 | 0.2 | 1.8 | 0.0 | 0.1 | 0.4 | 0.0 | -0.1 | -0.2 | 0.0 | 3.9 |
| 2018 | 0.0 | -0.1 | 0.0 | 0.2 | 0.4 | 0.0 | -0.4 | 0.0 | -0.6 | 1.7 | 0.0 | 0.0 | 1.2 |
| 2019 | 0.2 | 0.8 | 1.7 | -1.0 | 0.0 | 0.6 | -2.1 | 0.0 | -2.0 | 1.5 | 0.0 | -0.1 | -0.4 |
Row
Rolling Performance Chart
Snail Trail Chart
